Really you just wanna pick the weapons whose added effects compliment your playstyle well. For example, if you like having Vanille spam death, the Marlboro Wand is very useful. Why use an upgraded weapon with no effect when you can have an upgraded weapon with a very useful one?

As for upgrading effectively it's pretty simple:

1. Pick a weapon to upgrade.
2. Use "organic" components to boost the experience modifier
3. When it's all the way up, use "synthetic" components

You may want to auto sort the list to more easily distinguish between organic and synthetic.

Or don't upgrade. Whatever is more fun for you :v